Heteroskedasticity and neglected parameter heterogeneity
Article Abstract:
If model parameters are not heterogenous, changing from a linear regression method to White's heteroskedasticity-condistent matric estimator will not remove the error.
Publisher: Blackwell Publishers Ltd.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2001
Statistical Data Included, Research, Error analysis (Mathematics), Linear models (Statistics), Parameter estimation
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
Regression models with data-based indicator variables
Article Abstract:
Impulse-indicator regression coefficient which has inconsistent least squares estimation is evaluated by using Monte Carlo based indicator variables.
Publisher: Blackwell Publishers Ltd.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2005
Evaluation, Regression analysis
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Regression-based tests for a change in persistence
Article Abstract:
A method for determining change in persistence of recursive tests is presented.
Publisher: Blackwell Publishers Ltd.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2006
Analysis, Mathematical statistics, Recursive functions
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
Subjects list: Methods, United States, Usage, Monte Carlo method, Monte Carlo methods, Statistics (Mathematics)
Similar abstracts:
- Abstracts: Prices, asset markets and indeterminacy. A note on heterogeneity, inefficiency, and indeterminacy with Ricardian preferences
- Abstracts: Repeated implementation. Convergence in economic models with Bayesian hierarchies of beliefs. Reputation versus social learning
- Abstracts: Th existence of steady states in multisector capital accumulation models with recursive preferences. Structure of Pareto optima when agents have stochastic recursive preferences
- Abstracts: Learning, rare events, and recurrent market crashes in frictionless economies without intrinsic uncertainty. Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information
- Abstracts: Social institutions and human cognition: thinking about old questions in new ways. A pragmatist approach to the proper scope of government
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.